CP13/24 – Remainder of CRR: Restatement of assimilated law

This document outlines various changes, updates, and amendments to regulatory frameworks and rules in the financial sector. It covers a wide range of topics including the Capital Requirements Regulation (CRR), the Financial Services and Markets Act 2023, and other relevant regulations. The key points include:

1. 
   

   Restatement of CRR definitions: The PRA will consult on restating certain CRR definitions in the PRA Rulebook to ensure continuity after the CRR is fully revoked.

   
   


2. 
   

   Amendments to the SDDT Regime: Proposed amendments to the SDDT (Simplified Disclosure Template) Regime, including updates to mapping tables for firms and ICR consolidation entities, will be consulted upon.

   
   


3. 
   

   Securitisation Part: The new Securitisation Part of the PRA Rulebook applies on an individual basis, replacing relevant provisions of the Securitisation Regulation in a way consistent with Article 6(1).

   
   


4. 
   

   Capital Requirements Regulation (CRR): CRR Articles 8, 10, 12, 13, 15, 16, 17, 21, and 22 have been revoked from the CRR. The PRA has also applied a principle of not modifying output floors for certain capital requirements.

   
   


5. 
   

   Mortgage Guarantee Scheme: The PRA's regulatory treatment of retail residential mortgages under the Mortgage Guarantee Scheme is being clarified.

   
   


6. 
   

   Non-neutrality: The capital surcharge due to holding all tranches of a securitisation relative to holding the underlying pool assets, known as non-neutrality, affects firms' capital requirements.

   
   


7. 
   

   CRD V Transposition: The PRA used the same average daily GBP/EUR spot exchange rate as that used when transposing CRD V, covering the 12-month period prior to Friday 10 July 2020.

   
   


8. 
   

   Securitisation - Significant Risk Transfer (SS9/13): Proposed changes to rules related to securitisation, including the Significant Risk Transfer approach for SA loans and loan splitting protection, are being consulted upon.

   
   


9. 
   

   ICR Firms: Amendments to apply the updated mapping tables in the Credit Risk: Standardised Approach (CRR) and Securitisation (CRR) Parts to ICR firms will be consulted upon.

   
   


10. 
    

    MIFIDPRU Investment Firms: The updated rules also apply to FCA-authorised 'MIFIDPRU' investment firms, indicating broader applicability of the changes to a wider range of financial institutions.

    
    


11. 
    

    Standardised Approach and Mapping Process: Implementing regulations for credit ratings mapping in accordance with Articles 136(1) and 136(3) of Regulation (EU) No 575/2013, including EU-2024/1872 and other relevant standards.

    
    


12. 
    

    Output Floor Specific Carveout Disadvantages: The PRA explained the disadvantages of an output floor specific carveout in DP3/23 and continues to apply a principle that if higher capital requirements are justified, then the output floor does not need modifying; if not, SEC-SA should be changed.

    
    


13. 
    

    Non-neutrality Calculation: A calculation shows that firms reduce their actual capital by £120 million to £192 million in response to changes in capital requirements due to non-neutrality.

    
    


14. 
    

    Securitisation Part Revisions: The revised Securitisation Part replaces relevant provisions of the Securitisation Regulation on an individual basis consistent with Article 6(1).

    
    


15. 
    

    Application of FSMA 2000 Model: The PRA will apply the FSMA 2000 model of regulation to the Capital Requirements Regulation.

    
    


16. 
    

    Retained EU Law (Revocation and Reform) Act 2023: Retained EU law continues to apply in the UK, renamed 'assimilated law', and this document aims to update these regulations according to new legislation.

    
    


17. 
    

    PRA Rulebook Updates: The PRA is updating its rulebook to reflect changes from CRR assimilated law provisions under FSMA 2023, ensuring a smooth transition post-CRR revocation.

    
    

The updates aim to improve regulatory consistency, apply new legislative requirements, and adjust rules according to changing market conditions while preserving stability in the financial sector.